GTAA and Sector Rotation both use a 200-day trend filter and rebalance monthly. Over the same February 1986 to August 2026 window, GTAA returned 7.6% annualized with a -16.8% maximum drawdown. Sector Rotation returned 10.2% with a -35.7% drawdown.
The universe and selection rule created the difference.
GTAA gives every asset class a seat
GTAA, credited to Meb Faber, divides the portfolio across 5 broad sleeves: US stocks, international stocks, real estate, intermediate Treasuries, and commodities. Each sleeve starts with a 20% slot.
At month end, an asset above its 200-day moving average keeps its slot. A failed asset sends that 20% to BIL. GTAA does not rank the 5 assets against each other. Stocks can remain invested while commodities go to bills, or all 5 can hold at once.
Sector Rotation starts with a contest
Sector Rotation, also credited to Meb Faber, begins with 8 US equity sectors. It scores 1-month, 3-month, 6-month, and 12-month total returns, averages those 4 readings, and keeps the top 3 sectors.
Each selected sector gets a 33.33% slot. The 200-day filter then checks the 3 winners. A winner below trend sends its slot to BIL. The portfolio can therefore hold 0, 1, 2, or 3 sectors, but its risk budget always comes from an equity-sector ranking.
| Rule choice | GTAA | Sector Rotation |
|---|---|---|
| Universe | 5 broad asset classes | 8 US equity sectors |
| Selection | All 5 are eligible | Top 3 by 1/3/6/12-month average momentum |
| Risk slot | 20% per asset | 33.33% per selected sector |
| Absolute filter | 200-day moving average | 200-day moving average |
| Failed slot | BIL | BIL |
| Rebalance | Monthly | Monthly |
A matched-window result
| Live standard card | Period | Years | CAGR | Sharpe | Max DD |
|---|---|---|---|---|---|
| GTAA-5 | Feb 1986 to Aug 2026 | 40.5 | 7.6% | 1.20 | -16.8% |
| Sector Rotation Top-3 | Feb 1986 to Aug 2026 | 40.5 | 10.2% | 0.79 | -35.7% |
Sector Rotation gained 2.6 percentage points of annualized return. Its deepest decline was 18.9 points worse. The Sharpe ratio moved the other way, from GTAA's 1.20 to 0.79.
This is what I would expect from the construction. GTAA can hold bonds or commodities as actual risk assets when they are above trend. Sector Rotation can only choose among equity industries or bills. Utilities and consumer staples may behave defensively relative to technology, but they remain equities during a broad market break.
Ranking adds another failure mode
A trend filter asks whether an asset is healthy on its own history. A ranking asks which available asset looks best compared with peers. Sector Rotation needs both answers.
The top sector can have weak absolute momentum. The 200-day check catches that case and sends the slot to bills. The filter cannot diversify a book whose 3 surviving positions still share the same equity shock.
GTAA has the opposite problem. It can spread across genuinely different assets, but it never concentrates in the strongest sleeve. A 20% cap limits both the winner's contribution and the damage from a false signal.
2 jobs, despite the shared filter
I would use GTAA as a defensive core candidate. Its 5 independent slots make the cash level a direct reading of cross-asset breadth, and the -16.8% historical drawdown fits that job.
I would treat Sector Rotation as an equity allocation with a cash valve. The 10.2% CAGR is appealing, but the -35.7% drawdown says the sector ranking still carries equity-like pain. It belongs in a return-seeking sleeve sized for that loss.
The same moving average can sit inside very different portfolios. The rule tells you when each slot leaves. The universe tells you what can hurt together.
Past performance does not guarantee future results. Backtested results are hypothetical and do not represent actual trading.